Looks like it's a Catalina bug.
My 2020 27" iMac with Catalina does not work for asking Siri for weather, but my much older 27" iMac with Mojave works fine.
The difference, AFAIK, is that inside the Settings -> Security & Privacy -> Location Services -> Siri & Dictation, Catalina does not have a location icon indicating the location service is on for Siri & Dictation even though the checkbox is ticked, but Mojave does.
So, I turned off Catalina's WiFi connection. Then asked Siri for weather again, and it said that I needed to turn on the WiFi for it to know the location, although it used to say that I needed to turn on the Precise Location for Siri & Dictation. So, I turned on the WiFi as it demanded (note that WiFi was on). Lo 'n behold, it worked. And then the location icon showed up on the Siri & Dictation.
Give it a try.